- Количество слайдов: 10
1 INET Nordic – [email protected] September 30, 2010 © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved.
Introduction of [email protected] • NASDAQ OMX Nordic will introduce a separate continuous crossing of reference price pegged non-displayed orders as a complement to the central order book. [email protected] enables automatic execution for orders that are large but do not meet the Mi. FID Large in Scale criteria. • [email protected] orders are non-displayed, and they are executed solely against other [email protected] orders at the midpoint of NASDAQ OMX Nordic’s central order book’s BBO (Best Bid and Offer). - For Norwegian shares admitted to trading in NASDAQ OMX Stockholm, Oslo Börs BBO will be used. • [email protected] covers NASDAQ OMX Nordic cash equity markets in Stockholm, Helsinki, Copenhagen and Iceland. • Launch date in INET Production is November 15, 2010. - For Norwegian shares, [email protected] functionality will be introduced in Q 1/2011. Details and time schedule will be communicated later. Disclaimer: Launch is subject to the final NASDAQ OMX Nordic Member Rules approval in Finland. [email protected] functionality has received CESR and local Nordic FSAs approval in all countries. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 2
Highlights of [email protected] ►Covers NASDAQ OMX Nordic cash equity markets in Copenhagen, Helsinki, Iceland Stockholm. ►[email protected] orders are non-displayed. ►Separate, publicly disclosed matching algorithm using INET technology. ►All orders are priced and executed at the midpoint of Reference Price. ►Distinction between [email protected] orders and orders in the central order book. ►Minimum order size - criteria supports the execution of large orders. ►Minimum acceptable quantity supported to avoid partial executions. ►Limit price supported as price cap / floor. ►Post trade publishing real time via the public NASDAQ OMX feed. ►Regulated Market with NASDAQ OMX Nordic Trading Surveillance. ►[email protected] is included in the established membership in NASDAQ OMX Nordic exchange/s – automatic access without additional requirements. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 3
Overview of the functionality NASDAQ OMX Nordic Market Surveillance Post trade transparency real time via public feed Trade Displayed Central order book Best bid Best offer Buy order Sell order 3 Buy order Trading statistics 4 Midpoint of BBO Clearing Non-displayed [email protected] buy order 1 [email protected] crossing B 10000 2 S 5000 6 [email protected] sell order 5 © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 4 7 Trade
Explanation of the [email protected] functionality 1. Order validation: order entry to [email protected] crossing requires that 1. order book is [email protected] eligible, 2. participant sends the order to [email protected] execution, 3. order size ≥ the minimum order size: order size is validated using previous closing price of the order book, 4. order is inserted with peg type midpoint, without any offset. If some of these criteria is not met, the incoming order is rejected. Orders can be entered, modified and cancelled. Order modification by a trader results the order size validation. Supported optional order attributes: MAQ and Limit price. TIF attributes: IOC, GTT, Good-till-market close. Orders are non-displayed: no prices or volumes or any information of the orders will be displayed in public feed. Protocol supporting [email protected] order entry: FIX. 2. Matching: All orders are matched at the midpoint of BBO. Matching rules: participant-time. Matching takes place during continuous trading. Unfilled orders remain in system, even if the minimum size criteria is no longer met because of partial execution. 3. Suspended orders are removed from matching. Orders are suspended by the system if: 1. central order book goes into intra-day auction, or 2. the reference price doesn’t exist due to abnormal market conditions (e. g. one-sided markets), or 3. midpoint of reference price is with more than 4 decimals. Order price is automatically re-priced by the system when the midpoint changes. 4. Total separation: [email protected] orders cannot interact with central order book orders: orders are executed solely against other [email protected] orders. 5. Post trade transparency: Executed trades are published real time via public NASDAQ OMX feed without counterparty information. Trade counterparties are disclosed after market close, except in segments having post trade anonymity. [email protected] executions are marked so that they can be identified. Data feed protocols: GCF-TIP and ITCH. 6. Executed trades update Turnover. They do not update the Last price, High/low, Average price, VWAP or have any effect on BBO in the central order book. 7. Clearing follows the clearing model of the order book/participant: CCP/bilateral and self clearing available. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 5
Business parameters: [email protected] eligibility and Minimum order size • Distributed in order books’ reference data. • [email protected] eligible order books: - Helsinki, Stockholm and Iceland shares: all order books - Copenhagen shares: OMXC 20 order books • Minimum order size is a configurable currency value - Helsinki, Stockholm and Iceland: • Large cap shares 50. 000 EUR/ 500. 000 SEK/ 8. 000 ISK • Other than Large Cap shares 25. 000 EUR/ 250. 000 SEK/ 4. 000 ISK - Copenhagen OMXC 20 shares: • 2. 000 DKK • Size of an order is validated at the time of the order entry or order modification using previous closing price of the order book. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 6
Comparison between central order book nondisplayed orders and [email protected] orders [email protected] non-displayed orders Non-displayed orders in central order book Instrument scope Helsinki, Stockholm and Iceland: all shares Copenhagen: OMXC 20 shares All shares. Minimum order size Helsinki, Stockholm and Iceland Large Cap shares: 50. 000 EUR/ 500. 000 SEK/ 8. 000 ISK Helsinki, Stockholm and Iceland other shares: 25. 000 EUR/ 250. 000 SEK/ 4. 000 ISK Copenhagen OMXC 20 shares: 2. 000 DKK According to Mi. FID Large in Scale criteria: 50. 000 – 500. 000 EUR depending on ADT Reference price pegging Mid-point peg. Primary peg, Mid-point peg and Market peg. Offset available No. Yes. Limit Price Yes. MAQ Yes. Time-in-Force attributes Immediate-or-Cancel and day orders. Open orders will be cancelled by the system after market close. Immediate-or-Cancel, day orders and Good-till-cancelled orders. Matching price Actual mid-point is always used. No rounding of order price to a less aggressive price. According to tick size table, ie midpoint peg may round to a less aggressive price. Matching priority Participant-time. Price-participant-displayed-time. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 7
Protocol changes and reference data • FIX - New code to tag 9140 for [email protected] - Additional reject code for tag 58. - Additional field to tag 9882 to specify a [email protected] trade. • GCF-TIP - Distribution of reference data defining [email protected] order books and minimum order sizes. - New Trade Type value to indicate if the trade was executed in the [email protected] order book. • Nordic ITCH Trade Message (Non-Cross) - Re-defined use of Buy / Sell indicator. - The Owner field is redefined to provide the Buyer in the trade. - The Counterparty field is redefined to provide the Seller in the trade. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 8
Time schedule • 2010 -09 -01/ IT Notice 113/10 - Initial information on functionality communicated. • 2010 -09 -06/ IT Notice 124/10 - Protocol specifications for developers available. • 2010 -09 -22/ IT Notice 132/10 - Clarification to the previously released ITCH specification. • 2010 -09 -30/ IT Notice 146/10 - Final business parameters communicated. • 2010 -10 -11 - Next version of INET Nordic Market Model will be published. • Changed date 2010 -10 -13 - Testing available in INET OTF with selected order books. • 2010 -11 -01 - Production configuration available in INET OTF. • 2010 -11 -15 - Production launch. • For Norwegian shares traded in NASDAQ OMX Stockholm, [email protected] functionality will be introduced in Q 1/2011. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. 9
10 © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved.